Predicting stock-bond correlations
Few studies have been conducted to explain the variation in stock-bond correlations. However, to construct efficient portfolios in a mean-variance framework, investors must make accurate projections of future correlations. The past variability in stock-bond correlations notwithstanding, practitioners usually project future correlations by extrapolating past data. The purpose of this paper is to develop a regression model that will generate projections of future correlations that are more accurate than what would be determined from naively extrapolating the co-deviations of the past. © MCB UP Limited 2002.
Cheng, Joseph and Ryan, Robert, "Predicting stock-bond correlations" (2002). Faculty Articles Indexed in Scopus. 2179.